Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0157 |
| Annualized Std Dev | 0.2370 |
| Annualized Sharpe (Rf=0%) | 0.0662 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4399.0000 |
| NAs | 1.0000 |
| Minimum | -0.2006 |
| Quartile 1 | -0.0048 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1740 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -1.2586 |
| Kurtosis | 28.7009 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.7786 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0206 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7786 | 3474 | 444 | NA |
| 2004-03-08 | 2004-05-10 | 2004-12-27 | -0.2078 | 204 | 45 | 159 |
| 2005-03-07 | 2005-03-23 | 2005-07-28 | -0.1033 | 101 | 13 | 88 |
| 2006-12-20 | 2007-03-05 | 2007-04-09 | -0.0940 | 73 | 49 | 24 |
| 2005-08-02 | 2005-10-13 | 2005-12-02 | -0.0826 | 87 | 52 | 35 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.5 | -0.2 | 0.2 | 0.5 |
| 2004 | 0.8 | 0.8 | 0.9 | -1.4 | 1.8 | 0.1 | 0.7 | 1.6 | 0.6 | 1.4 | 1.4 | 0.6 | 9.5 |
| 2005 | 0.9 | 0.7 | 1 | 0.6 | 0.1 | 0.5 | 0.5 | 1 | 0.5 | 1.1 | 2.3 | -1.3 | 8.3 |
| 2006 | 0.1 | 0.7 | 1.1 | -0.3 | 1.3 | -0.4 | 0 | 0.6 | -1.7 | -0.6 | 0.5 | -1 | 0.3 |
| 2007 | 0.1 | -1.1 | 0.7 | -0.6 | 0.5 | 0 | 0.3 | 0.6 | -0.1 | -1.9 | 0.9 | 1.3 | 0.6 |
| 2008 | 0.8 | -2.1 | 3.1 | 0.8 | 0.2 | 1.1 | -0.2 | -0.7 | 2 | 3.2 | -7.9 | 7.1 | 6.9 |
| 2009 | -2.1 | -2.9 | 1.4 | 1.8 | 2.9 | 1.5 | 1.4 | -3.1 | -2.2 | -5.5 | 0.9 | -1.4 | -7.5 |
| 2010 | 1.2 | 1.6 | 0.4 | -1.2 | -1.1 | -1.2 | -0.3 | 2.4 | 1.2 | 0.2 | 0.7 | 0.4 | 4.5 |
| 2011 | 1.1 | -1.1 | 0.5 | 0.2 | -1.8 | 1.1 | -0.1 | -0.3 | -2.7 | -2.5 | 1.2 | 0.1 | -4.4 |
| 2012 | 1.4 | 0.7 | -0.2 | 0.2 | -2.4 | 1.1 | -0.2 | -0.5 | 0.9 | 1.3 | 0.8 | 0.7 | 3.9 |
| 2013 | -0.3 | 0.6 | -0.2 | -0.3 | -3.1 | 0.1 | 1.7 | 0.3 | 0.6 | -0.2 | 0.2 | 0.5 | -0.3 |
| 2014 | -0.2 | 0.3 | 0.6 | 0.2 | 0.1 | 0.4 | -0.8 | 0 | -0.9 | 0.7 | -1.4 | 0.5 | -0.3 |
| 2015 | -1.4 | 0.2 | -0.3 | 0.6 | 0 | 1 | 0.1 | -2.4 | 0.4 | 0.8 | 0.5 | -0.9 | -1.5 |
| 2016 | -0.5 | 2.6 | 1.1 | 0.1 | 0 | 1 | -1.4 | -1 | 0.4 | -0.3 | 0.4 | 0.4 | 3 |
| 2017 | 0.1 | 1.2 | -0.3 | 0.8 | 1.3 | 0.6 | -0.1 | 0.4 | 0.3 | -0.3 | -0.1 | 0.5 | 4.4 |
| 2018 | -0.1 | -0.9 | 1.1 | 0 | 0.4 | 0 | 0.6 | -0.1 | 0.6 | 1.7 | 0.9 | 0.5 | 4.9 |
| 2019 | 0.4 | 0.2 | 1 | 0.6 | -1.6 | 0.7 | -0.6 | 0 | -0.3 | -0.3 | 0.5 | 0.6 | 1.1 |
| 2020 | -0.3 | -3.8 | -7.7 | -1.9 | 1.4 | 0.6 | -0.8 | 0.3 | 0.3 | -0.2 | 1.7 | 0.8 | -9.7 |
| 2021 | 0.5 | 1.7 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-09-26 20 SPY 100. -0.0033 -0.0359 -0.0019 0.0234 0.166 -0.310 NA <NA> NA NA NA
2 2003-09-29 20.0 SPY 101. 0.0098 -0.0158 0.0017 0.0338 0.220 -0.305 NA <NA> NA NA NA
3 2003-09-30 20.0 SPY 100. -0.0097 -0.029 -0.0147 0.0144 0.222 -0.312 NA <NA> NA NA NA
4 2003-10-01 20.0 SPY 102. 0.0213 0.00960 -0.007 0.0232 0.191 -0.292 NA <NA> NA NA NA
5 2003-10-02 20.0 SPY 102. 0.0036 0.0216 -0.0088 0.0376 0.232 -0.281 NA <NA> NA NA NA
6 2003-10-03 20.1 SPY 103. 0.0092 0.0344 -0.0002 0.0267 0.256 -0.278 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
